Hi Paul.

I'll give you what I can here:

[- preparation of the veneer and the rest of the guitar]

Veneer, first thing is to check for glue spots from the factory. You can do this by dampening the veneer/timber with methylated spirits and looking for spots that may appear shiny (or just different) than the surrounding areas. Glue won't absorb the metho the same as the raw veneer. Good overhead light is helpful in seeing the spots, and looking from various angles.

If you have glue spots, you can remove them with Goof-Off (high concentration of acetone) and a small, stiff plastic bristled brush.
This process may need doing several times. NOTE: be careful around the binding with the acetone. It will melt it if you get too much on it!

Last is light sanding overall with a medium grit sandpaper (not coarser than P240, not finer than P400). I prefer synthetic sanding pads (search the forum if you're unfamiliar).
You will have likely read that the veneers are very thin (.6mm ??? IIRC) and people get anxious about sanding it (overly anxious IMO) but if you don't go at it like a bull and use common sense, you won't have a problem. You're not sanding to shape the timber, you're only trying to knock off any stray fibres that have raised due to the timber not being sealed.

The Mahogany - If you're goal is a smooth shiny gloss finish, you will need to grain fill. There are a number of products available to achieve this, so I will leave it to you to do some research. The most common product used here is Timbermate, but there are definitely other products and techniques (like slurry filling - that's a whole chapter on its own).

[- which clear finishes to consider]

Personal preference, but also may be dependent on your work area (can you spray? only apply by hand? etc).
The most common DIY finishes are Polyurethane (can be sprayed or hand-applied), Acrylic or Nitrocellulose Lacquer (sprayed only but both available in rattle cans), and Tru Oil which is basically a combination of poly and boiled linseed oil (usually hand-applied, can be sprayed with a gun).

[- how to treat the binding - eg sanding, beveling/rounding, etc]

Whether you're staining or painting, masking the binding is going to be required. However, be aware that staining comes with the risk (almost inevitably) of bleeding into the binding. The binding will get scraped after, regardless of whether paint or stain is applied.
I don't recommend sanding the binding because it scratches very easily and can be problematic with stain/paint.


[- thoughts about the glue/finish or finish/glue order!]

I presume you're talking about the neck... Either way can work. A lot depends on your workspace and if you can manoeuvre a full-length guitar whilst trying to apply your finish. My preference was to do the two pieces separately and set the neck after. I then did a final clear coat to tie them together.
If going this route, just be sure to leave the contact areas in the neck pocket and on the heel unfinished. You want your glue to contacting bare timber.